I mean, if we are going to talk about deep lore, here's my personal opinion of what is going to happen:
This is all a quest given to us by the Goddess to enhance the main character's penis so they can finally help Sophia attain orgasm again. When all is said and done, the Demon Queen defeated, the main character is going to walk back into Sophia's room, whip out his golden glowing cock, and say:
"I'm told there's a Lady in distress who needs a key to open her Puzzle Box. Baby, do I have the Skeleton Key for you."